If the notion is that: "Side Chains are great because people more foolish than I am will mistakenly trust some bad ones, and use them, and lose some of their coins making mine more valuable."
Than this isn't particularly good for Bitcoin if people lose confidence in it, so whether it may or may not be good for one's own bitcoin value is questionable.
Here is one scenario where BTCs may be lost to MC in this way, essentially rendered unspendable through an economic activity.
1) Some BTC is SPV'd to scBTC1.
2) Some scBTC1 is SPV'd to scBTC2.
3) scBTC1 is discovered to be a scam (or just a bad implementation) whereas scBTC1coin massively inflates so that no one on scBTC2 has any incentive to SPV back from scBTC2 to scBTC1 and so no way to return to MC.
(Yes, you can create a side chain from a side chain.)
complexity risks...
Edit: Is there a way to have such an event without sidechains, or is this a "new" risk?
well essentially you're suggesting the coins were initially transferred to a non-secure scheme without proper due diligence from the owner so my answer is no, this is not a "new" risk.
Can you help me understand how do we do this without the side chains?
For example, using an alt coin does something quite different:
If I sell bitcoin for an alt coin which turns out to be a long con scam, but before the scam was sprung, I had traded them to a different alt coin, I could still trade that second alt coin for BTC, and the BTC I initially traded away are not essentially "burned" they are still being exchanged on MC by whomever got them from me.